Similar Search Results

Fristigkeitsstruktur des Fremdkapitals : Instrumente und Strategien zur Finanzierung

Arnoldi, Heiner - 1993

Persistent link: https://www.econbiz.de/10013328568

Investing with liquid and illiquid assets

Bichuch, Maxim; Guasoni, Paolo - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 119-152

Persistent link: https://www.econbiz.de/10011969098

Implications of financial transaction costs on the real economy : a note

Pelster, Matthias - In: Contemporary economics 8 (2014) 1, pp. 113-118

hedging strategies of a duopoly. Firms are exposed to demand uncertainty that leads to price risk and can hedge their risk …, we explore the Cournot duopoly with a simultaneous hedging opportunity; second, we analyze the case with a sequential …

Persistent link: https://www.econbiz.de/10010405210

Hedging under an expected loss constraint with small transaction costs

Bouchard, Bruno; Moreau, Ludovic; Soner, Halil Mete - 2014

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is … very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small … transaction costs is used to obtain a tractable model. A general expansion theory is developed using the dynamic programming …

Persistent link: https://www.econbiz.de/10010442924

High order compact finite difference schemes for a nonlinear Black-Scholes equation

Düring, Bertram; Fournié, Michel; Jüngel, Ansgar - 2001

A nonlinear Black-Scholes equation which models transaction costs arising in the hedging of portfolios is discretized …

Persistent link: https://www.econbiz.de/10011544723

Commodity price correlation and time varying hedge ratios

Lahiani, Amine; Guesmi, Khaled - In: The journal of applied business research 30 (2014) 4, pp. 1053-1061

Persistent link: https://www.econbiz.de/10010400627

A spectral model of turnover reduction

Kakushadze, Zura - In: Econometrics : open access journal 3 (2015) 3, pp. 577-589

We give a simple explicit formula for turnover reduction when a large number of alphas are traded on the same execution platform and trades are crossed internally. We model turnover reduction via alpha correlations. Then, for a large number of alphas, turnover reduction is related to the largest...

Persistent link: https://www.econbiz.de/10011410628

Deep learning for discrete-time hedging in incomplete markets

Fecamp, Simon; Mikael, Joseph; Warin, Xavier - In: The journal of computational finance 25 (2021) 2, pp. 51-85

Persistent link: https://www.econbiz.de/10012938887

Approximate hedging problem with transaction costs in stochastic volatility markets

Thai Huu Nguyen; Pergamenshchikov, Serguei - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 832-865

Persistent link: https://www.econbiz.de/10011764979

Model-free weak no-arbitrage and superhedging under transaction costs beyond efficient friction

Ryom, Songchol; Ri, Inchol - In: International journal of theoretical and applied … 26 (2023) 6/7, pp. 1-42

Persistent link: https://www.econbiz.de/10014500254